Alice Buccioli

Nordea Bank | Model Validation

Model Risk Analyst

Copenhagen

Denmark

SCHOLARLY PAPERS

3

DOWNLOADS

139

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Expected Shortfall and Portfolio Management in Contagious Markets

Number of pages: 36 Posted: 08 Mar 2018
Alice Buccioli, Thomas Kokholm and Marco Nicolosi
Nordea Bank | Model Validation, School of Business and Social Sciences, Aarhus University and University of Perugia - Department of Economics
Downloads 68 (346,688)
Citation 1

Abstract:

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Hawkes Process, Contagion, Expected Shortfall, Back-Testing, Portfolio Management

2.

Constant Proportion Portfolio Insurance Strategies in Contagious Markets

The paper has been presented at the 9th World Congress of the Bachelier Finance Society, New York, at VCMF 2016, Vienna, and at the 21st International Congress on Insurance: Mathematics and Economics, Vienna. The final version of the paper is published in Quantitative Finance Vol. 18, Iss. 2, 2018.
Number of pages: 37 Posted: 15 Dec 2017 Last Revised: 09 Feb 2018
Alice Buccioli and Thomas Kokholm
Nordea Bank | Model Validation and School of Business and Social Sciences, Aarhus University
Downloads 45 (420,340)
Citation 2

Abstract:

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CPPI, self-contagion, Hawkes processes, gap risk, liquidity, risk measures

3.

Shock Waves and Golden Shores: The Asymmetric Interaction between Gold Prices and the Stock Market

Number of pages: 23 Posted: 17 Aug 2019
Alice Buccioli and Thomas Kokholm
Nordea Bank | Model Validation and School of Business and Social Sciences, Aarhus University
Downloads 26 (505,608)

Abstract:

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Hawkes process, Gold modeling, Safe haven asset, GMM; Jumps